Overnight returns of stock indexes: Evidence from ETFs and futures

Intraday time‐series momentum: Evidence from China

“…The first 30‐min return (without the overnight return) however, has explanatory power for the last 30‐min return across all four commodities, while the overnight return has explanatory power only for soybean meal and steel rebar. In unreported correlation analysis, we also find that the overnight return is negatively correlated to the first 30‐min return across all commodities, a finding that is similar to Liu and Tse (). Furthermore, we also find that the overnight return is negatively correlated to the subsequent last 30‐min intraday return for soybean, but the relationship is positive for the other commodities.…”

“…Similarly, Elaut, Kevin, and Michael () find that the first half‐hour return can be used to predict the last half‐hour return in the RUB‐USD FX market. Liu and Tse () focus on S&P 500 ETFs as well as 12 international index futures contracts, finding that, despite the first half‐hour return not exhibiting predictive power, that overnight returns positively predict the last half‐hour return. As outlined, the majority of both intraday cross‐sectional and time‐series momentum studies are based on stocks or stock indices, with intraday momentum in commodity markets remaining an open research question.…”

Intraday Time-series Momentum: Evidence from China

“…The first 30-minute return (without the overnight return) however, has explanatory power for the last 30-minute return across all four commodities, while the overnight return has explanatory power only for soybean meal and steel rebar. In unreported correlation analysis, we also find that the overnight return is negatively correlated to the first 30-minute return across all commodities, a finding that is similar to Liu and Tse (2017). Furthermore, we also find that the overnight return is negatively correlated to the subsequent last 30-minute intraday return for soybean, but the relationship is positive for the other commodities.…”

“…Similarly, Elaut et al (2018) find that the first half-hour return can be used to predict the last half-hour return in the RUB-USD FX market. Liu & Tse (2017) focus on S&P 500 ETFs as well as 12 international index futures contracts, finding that, despite the first half-hour return not exhibiting predictive power, that overnight returns positively predict the last half-hour return. As outlined, the majority of both intraday cross-sectional and time-series momentum studies are based on stocks or stock indices, with intraday momentum in commodity markets remaining an open research question.…”

Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe

“…The only exception is the analysis of the Asia-Pacific markets presented in Marszk et al (2019)-due to different geographical coverage, it cannot be compared directly to the current study. In the recent years, there have been a number of studies devoted to the relationships between ETFs and futures but they have focused on particular attributes of selected instruments rather than market-broad analysis (e.g., Liu and Tse 2017;Oztekin et al 2017;Chang et al 2018;Wang et al 2018;Chang et al 2019;Jiang et al 2019;Wallace et al 2019;Liu et al 2020).…”